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Low-latency FIX protocol connector for Binance with defensive parsing. Real-time market data streaming, order execution with ED25519 auth, and spread market making strategy.

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RATU FIX Bot

Python uv RATUProject

FIX protocol connector for Binance with defensive message parsing.

🔗 Part of the RATUProject | Real-time Automated Trading Unified
System Prototyping Focus: Low-latency FIX protocol integration for market data and order entry

Features

Feature Description
Market Data Session Real-time FIX market data streaming
Order Entry Session FIX order execution with ED25519 auth
Drop Copy Session Trade confirmations and fills
Defensive Parser Robust handling of malformed FIX messages

System Overview

flowchart TB
    subgraph "FIX Sessions"
        MD["Market Data<br/>fix-md.binance.com:9000"]
        OE["Order Entry<br/>fix-oe.binance.com:9000"]
        DC["Drop Copy<br/>fix-dc.binance.com:9000"]
    end
    
    subgraph "FIX Connector"
        CONN["BinanceFixConnector"]
        PARSER["Defensive Parser<br/>parse_server_response"]
        AUTH["ED25519 Signature"]
    end
    
    subgraph "Application"
        BOT["Trading Bot"]
        QUEUE["Message Queue"]
    end
    
    MD --> CONN
    OE --> CONN
    DC --> CONN
    CONN --> PARSER --> QUEUE --> BOT
    BOT --> AUTH --> CONN
    
    style PARSER fill:#7ED321
    style AUTH fill:#4A90E2
Loading

FIX Message Flow

sequenceDiagram
    participant Bot
    participant Connector
    participant Binance
    
    Bot->>Connector: create_order_entry_session()
    Connector->>Binance: Logon (A) + ED25519 Signature
    Binance-->>Connector: Logon (A) ACK
    
    Bot->>Connector: send_message(NewOrderSingle)
    Connector->>Binance: NewOrderSingle (D)
    Binance-->>Connector: ExecutionReport (8)
    Connector->>Bot: queue_msg_received.get()
    
    Note over Connector: Heartbeat every 30s
    
    Bot->>Connector: logout()
    Connector->>Binance: Logout (5)
Loading

Market Making Loop

The bot implements a simple spread market making strategy that runs in an infinite loop:

flowchart TB
    START([Start]) --> PLACE[Place BUY + SELL orders<br/>at spread offset]
    PLACE --> WAIT{Wait for fills}
    WAIT -->|Stale/Drift| CANCEL[Cancel & Replace<br/>at new prices]
    CANCEL --> WAIT
    WAIT -->|BUY filled| SELL_ONLY[Continue SELL only]
    WAIT -->|SELL filled| BUY_ONLY[Continue BUY only]
    SELL_ONLY --> BOTH{Both filled?}
    BUY_ONLY --> BOTH
    BOTH -->|No| WAIT
    BOTH -->|Yes| RESET[Reset cycle]
    RESET --> PLACE
    
    style PLACE fill:#7ED321
    style RESET fill:#4A90E2
Loading

Quote Pricing Formula

spread_offset = spread_percent / 200  # 0.01% → 0.00005

buy_price  = current_bid × (1 - spread_offset)  # Below best bid
sell_price = current_ask × (1 + spread_offset)  # Above best ask

Configuration Parameters

Parameter Default Description
--spread 0.01 Spread offset % (0.01 = 0.01%)
--stale-threshold 2 Seconds before order refresh
--qty 0.002 Order quantity per side
--log-level INFO DEBUG, INFO, WARNING, ERROR

Terminal Output

2025-12-13 10:12:26,408 INFO Bot initialized
2025-12-13 10:12:26,659 INFO ----------------------------------------------------------------------------------------------------
2025-12-13 10:12:26,659 INFO FIX Client (100.104.123.216:53040): Connected to tcp+tls://fix-md.binance.com:9000
2025-12-13 10:12:26,660 INFO ----------------------------------------------------------------------------------------------------
2025-12-13 10:12:26,660 INFO LOGIN (A)
2025-12-13 10:12:26,661 INFO Client=>Server: 8=FIX.4.4|9=251|35=A|49=BMDWATCH|56=SPOT|34=1|...
2025-12-13 10:12:26,853 INFO MD session established, SessionID=a9d0cd74-f022-446a-a0b8-0f8b6a58de33
2025-12-13 10:12:26,853 INFO MD session kept open
2025-12-13 10:12:27,093 INFO ----------------------------------------------------------------------------------------------------
2025-12-13 10:12:27,093 INFO FIX Client (100.104.123.216:53041): Connected to tcp+tls://fix-oe.binance.com:9000
2025-12-13 10:12:27,093 INFO ----------------------------------------------------------------------------------------------------
2025-12-13 10:12:27,093 INFO LOGIN (A)
2025-12-13 10:12:27,093 INFO Client=>Server: 8=FIX.4.4|9=266|35=A|49=BOETRADE|56=SPOT|34=1|...
2025-12-13 10:12:27,280 INFO OE session established, SessionID=9012955e-0cf4-44e8-b464-ea71be44efaf
2025-12-13 10:12:27,280 INFO OE session kept open
2025-12-13 10:12:27,280 INFO Client=>Server: 8=FIX.4.4|9=98|35=x|49=BMDWATCH|56=SPOT|34=2|320=GetInstrumentList|559=0|55=ETHFDUSD|...
2025-12-13 10:12:27,280 INFO Sent InstrumentListRequest for ETHFDUSD
2025-12-13 10:12:27,381 INFO Validated: MinQty=0.0001, MinPriceInc=0.01
2025-12-13 10:12:27,381 INFO Instrument validation complete
2025-12-13 10:12:27,382 INFO Client=>Server: 8=FIX.4.4|9=135|35=V|49=BMDWATCH|262=BOOK_TICKER_STREAM|55=ETHFDUSD|...
2025-12-13 10:12:27,382 INFO Subscribed to ETHFDUSD ticker stream
2025-12-13 10:12:27,710 INFO Starting persistent ticker stream
2025-12-13 10:12:27,710 INFO Background ticker stream started
2025-12-13 10:12:28,715 INFO Stale or missing orders detected: Bid=3092.48, Ask=3092.7
2025-12-13 10:12:28,715 INFO No active orders to cancel
2025-12-13 10:12:29,715 INFO Client=>Server: 8=FIX.4.4|35=D|11=buy_1765595549715962880|44=3092.29000000|54=1|55=ETHFDUSD|...
2025-12-13 10:12:29,715 INFO Placed BUY order: ClOrdID=buy_1765595549715962880, Price=3092.29
2025-12-13 10:12:29,715 INFO Client=>Server: 8=FIX.4.4|35=D|11=sell_1765595549715962880|44=3092.83000000|54=2|55=ETHFDUSD|...
2025-12-13 10:12:29,716 INFO Placed SELL order: ClOrdID=sell_1765595549715962880, Price=3092.83
2025-12-13 10:12:29,817 INFO Order confirmed: ClOrdID=buy_1765595549715962880, Status=New
2025-12-13 10:12:29,917 INFO Order confirmed: ClOrdID=sell_1765595549715962880, Status=New
2025-12-13 10:12:30,721 INFO Quote orders placed, awaiting further action

FIX messages use | as field separator. Key tags: 35=A (Logon), 35=D (NewOrderSingle), 35=V (MarketDataRequest), 54=1/2 (Buy/Sell)

Installation

1. Clone Repository

git clone https://github.com/adityonugrohoid/ratu-fix-bot.git
cd ratu-fix-bot

2. Install Binance FIX SDK (Editable)

This project requires the official Binance FIX Python SDK. Clone and install as editable:

# Clone the official Binance FIX connector
git clone https://github.com/binance/binance-fix-connector-python.git

# Install as editable package
cd binance-fix-connector-python
pip install -e .
cd ..

# Alternative: Copy SDK module to project src/
cp -r binance-fix-connector-python/binance_fix_connector ./src/binance_fix_connector

Note: The SDK is included in src/binance_fix_connector/ with defensive parsing modifications. You can skip this step if using the bundled version.

3. Sync Dependencies & Configure

# Sync dependencies
uv sync

# Verify installation
uv run python -c "from binance_fix_connector.fix_connector import BinanceFixConnector; print('OK')"

4. Configure Credentials

The bot supports two credential formats (checked in order):

Option A: Environment Variables (Recommended)

# Create .env from example
cp .env.example .env

# Edit .env with your credentials
# BINANCE_ED25519_API_KEY=your_api_key_here
# BINANCE_ED25519_PRIV_PATH=secrets/ed25519_private.pem

Option B: config.ini file

# Create config from example
cp examples/config.ini.example config.ini

# Edit config.ini
# [keys]
# API_KEY = your_api_key_here
# PATH_TO_PRIVATE_KEY_PEM_FILE = secrets/ed25519_private.pem

ED25519 Key Setup: Generate an ED25519 key pair in your Binance account settings. Save the private key to secrets/ed25519_private.pem.

5. Run Bot

# Run with CLI (uses .env by default)
uv run ratu-fix-bot

# Or specify config.ini explicitly
uv run ratu-fix-bot --config config.ini

# Run examples
uv run python examples/order_entry.py

# Run tests
uv run pytest

Project Structure

ratu-fix-bot/
  src/
    binance_fix_connector/   # FIX protocol connector
      fix_connector.py       # Main connector with defensive parser
      utils.py               # Key loading helpers
    ratu_fix_bot/            # Market making bot package
      core/                  # Core modules
        bot.py               # SpreadMMBot class
        market_data.py       # Market data streaming
        order_management.py  # Order placement/cancellation
        session.py           # FIX session management
      config.py              # Bot configuration
      main.py                # CLI entry point
  examples/                  # Usage examples
  tests/                     # Unit tests
  _reference/                # Archived scripts

CLI Usage

# Run with default configuration
uv run ratu-fix-bot --config config.ini

# Run with custom parameters
uv run ratu-fix-bot --symbol BTCUSDT --qty 0.001 --spread 0.05 --stale-threshold 5

# Show all options
uv run ratu-fix-bot --help

SDK Modifications

The following modifications were made to the official Binance FIX SDK for robustness:

File: src/binance_fix_connector/fix_connector.py

parse_server_response (Lines 403-478)

Replaces the original parse_server_response_original with a defensive parser:

 def parse_server_response(self) -> list[FixMessage]:
+    # --- Malformed tag-value field detection (skip and log) ---
+    malformed = [
+        s for s in tag_values
+        if '=' not in s or (s.startswith('8=') and s != f'8={self.fix_version}')
+    ]
+    if malformed:
+        continue  # Do not process this message

+    # --- Complete message check with exception handling ---
+    try:
+        fix_msg = FixMessage()
+        fix_msg.append_strings([s for s in tag_values if '=' in s])
+        messages.append(fix_msg)
+    except Exception:
+        continue  # Skip this message on error

Reason: The original Binance SDK parser crashes on certain market data symbols with malformed FIX messages. This fix provides graceful degradation.

Design Decisions

Decision Rationale
FIX Protocol Sub-millisecond latency for order execution
ED25519 Secure, non-expiring authentication
Defensive Parser Graceful handling of malformed messages
Thread-based Receiver Non-blocking message reception

Protocol Reference

Session Endpoint FIX Version
Market Data tcp+tls://fix-md.binance.com:9000 FIX.4.4
Order Entry tcp+tls://fix-oe.binance.com:9000 FIX.4.4
Drop Copy tcp+tls://fix-dc.binance.com:9000 FIX.4.4

For more information, see Binance FIX API Documentation.

Notable Code

This repository demonstrates production-focused FIX protocol integration patterns. See NOTABLE_CODE.md for detailed code examples highlighting:

  • Defensive parser modifications
  • ED25519 authentication implementation
  • Three-session FIX architecture

License

MIT License - see LICENSE for details.

Author

Adityo Nugroho

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Low-latency FIX protocol connector for Binance with defensive parsing. Real-time market data streaming, order execution with ED25519 auth, and spread market making strategy.

Topics

ed25519 fix-protocol binance market-making-bot

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